通过利率预测进行前瞻性指引:有效吗?

Leif Brubakk, Saskia ter Ellen, Hong Xu
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引用次数: 17

摘要

基于挪威和瑞典的高频数据,我们研究了货币政策制定者通过公布预期未来政策利率路径的明确前瞻性指引在多大程度上影响了市场收益率曲线。我们通过两个潜在因素(“目标因素”和“市场路径因素”)来总结收益率曲线的变动,这两个潜在因素捕捉了市场参与者对公告日发布的所有相关货币政策沟通的评估。然后,我们表明,公布的利率路径中包含的信息对市场路径有显著影响,可以解释高达47%的市场路径因素。因此,我们得出结论,公布利率路径的“明确”前瞻性指引成功地推动了市场朝着预期的方向发展。此外,我们的研究结果表明,央行和市场对利率预期的修正是强相关的。这表明市场参与者在很大程度上理解货币政策的反应模式。
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Forward Guidance Through Interest Rate Projections: Does It Work?
Based on high-frequency data for Norway and Sweden, we investigate to what extent explicit forward guidance from monetary policy makers, by means of publishing the path of expected future policy rates, affects the market yield curve. We summarise movements in the yield curve by two latent factors (the 'target factor' and 'market path factor'), which capture market participants' assessment of all relevant monetary policy communication made available on announcement days. We then show that information contained in the published interest rate path has a signi cant effect on the market path, and can explain up to 47% of the market path factor. Hence, we conclude that 'explicit' forward guidance in the form of publishing the interest rate path succeeds in moving markets in the desired direction. Furthermore, our results show that central bank and market revisions of interest rate expectations are strongly correlated. This suggests that market participants to a large extent understand the monetary policy reaction pattern.
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